Same fills for StopMarket and StopLimit orders on range bars?

[poseidon_sthlm]

Hello Ninja!

I have run some backtests on range bars and compared the fills for the different entry order methods. My results show that I get the same fills for orders placed 1 tick above the market on Stop-Market orders and Stop-Limit orders. I would expect at difference since Stop-Limit orders shouldn't fill on touch (when property IsFillLimitOnTouch = FALSE) and thus no trades with MFE = 0 should occur for Stop-Limit orders. I have also compared the fills for entry orders methods below the market and there I do see the expected difference between Limit orders and MIT orders.
Shouldn't there be a difference in fills between Stop-Limit orders and Stop-Market orders on range bars?

My test was done:
- with historical tick data in the Strategy Analyzer
- time frame = range bars (5 ticks)
- entry order stop price = 1 tick above market
- property IsFillLimitOnTouch = FALSE
- OrderFillResolution = Standard

/Poseidon_Sthlm

[NinjaTrader_ChelseaB]

Hello Poseidon_Sthlm,

To confirm, limit orders are requiring a 1 tick through, however, the limit price of a stop limit does not, is this correct?

This is the confirmed behavior. From our development;
"We don't have the 'FillLimitOrderOnTouched' concept implemented for stop limits orders. Stop limit orders simply fill at the stop limit price as long as it sits inside of the open/high of the fill bar. This is different then limits orders which have the feature to require pass through or not. "

Feature request SFT-2321 was created for stop limit orders to be affected by slippage the same as a limit order in backtest. I have submitted your vote to this request.

[poseidon_sthlm]

Thanks for the quick answer.
Sorry, my misstake. I thought that the property IsFillLimitOnTouch = False also would affect Stop-Limit Orders.

/Poseidon_Sthlm